Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Nov 27 (1D) Nov 28 (2D) Dec 01 (5D) Dec 02 (6D) Dec 03 (7D) Dec 04 (8D) Dec 05 (9D) Dec 08 (12D) Dec 09 (13D) Dec 10 (14D) Dec 12 (16D) Dec 19 (23D) Dec 26 (30D)
lower 673.595 671.066 666.049 664.746 663.548 662.432 661.385 658.552 657.688 656.857 655.28 650.421 646.261
upper 685.805 688.334 693.351 694.654 695.852 696.968 698.015 700.848 701.712 702.543 704.12 708.979 713.139
expected move 6.105 8.634 13.651 14.954 16.152 17.268 18.315 21.148 22.012 22.843 24.42 29.279 33.439
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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